After the phonetic changes made to Castilian to facilitate the teaching of this language in America (the continent, that is).
Mexico was originally pronounced méh-shi-ko after the Mexi-cas (meh-shí-kas) Aztecs who founded it. It was later changed to Méjico, as Texas (Téshas), after the Texas Indians, was changed into Tejas, or Texas, pronounced where the x is pronounced as h, and so on.
Most Spanish speaking countries accepted the ?j¹ spelling. Mexicans didn¹t like the change and until today they still refuse the new spelling because it changed the original spelling and pronunciation of the Mexicas. However, they compromised and changed the pronunciation into Méh-hee-ko.
After all those changes to Castilian, Quixote (kee-shó-te) became Quijote, but English clung to the original spelling. A change in spelling of a word accepted by usage? God forbid! However, as I have already pointed, modern speakers have recently changed the pronunciation into Ki-ho-te while leaving the x, as Mexicans did with Mexico. Why? Beats me.
From the book "America" Misunderstood, availablefree from my personal page at:
http://ruhig.0catch.com